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Partial splitting of longevity and financial risks : the longevity nominal choosing swaptions

Bensusan, Harry; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 68 (2016), pp. 73-83

Persistent link: https://www.econbiz.de/10011492465

Robust capital requirements with model risk

Barrieu, Pauline; Ravanelli, Claudia - In: Economic notes : economic review of Banca Monte dei … 44 (2015) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011342102

Affine long term yield curves : an application of the Ramsey rule with progressive utility

El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Journal of financial engineering 1 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010508124

Consistent utility of investment and consumption : a forward/backward SPDE viewpoint

El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - 2017

Persistent link: https://www.econbiz.de/10012200208

Ramsey rule with forward/backward utility for long-term yield curves modeling

El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 375-414

Persistent link: https://www.econbiz.de/10013380575

Pricing, hedging, and designing derivatives with risk measures

Barrieu, Pauline; El Karoui, Nicole - In: Indifference pricing : theory and applications, (pp. 77-146). 2009

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A Quantitative Risk Management Framework for Stable Value Fund Wraps

Alimoradian, Behzad; Jakubiak, Jeffrey; Loisel, Stéphane; … - 2022

This paper introduces quantitative risk management and scenario analysis framework for asset-liability management of stable value fund wraps. Stable value funds are guaranteed return employee benefit investment options, with currently over $400 billion USD of assets under management. These...

Persistent link: https://www.econbiz.de/10014236467

Ambiguity sensitive preferences in Ellsberg frameworks

Ravanelli, Claudia; Svindland, Gregor - In: Economic theory : official journal of the Society for … 67 (2019) 1, pp. 53-89

Persistent link: https://www.econbiz.de/10012040448

Revisiting optimal investment strategies of value-maximizing insurance firms

Koch Medina, Pablo; Moreno-Bromberg, Santiago; … - In: Insurance / Mathematics & economics 99 (2021), pp. 131-151

Persistent link: https://www.econbiz.de/10012649214

Portfolio optimization with insider's initial information and counterparty risk

Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134

Persistent link: https://www.econbiz.de/10011417122